IMHO, just buy one. I looked at making one and it was going to cost more (since copper is so expensive right now) than it was to buy one. And with morebeer.com offering the free shipping, its worth having one that is bent perfectly and all ready to go. I went ahead and got a 50 ft 1/2" dia tubing (vs the 25' 3/8" tubing) as it wasn't that much more expensive and if I ever go to a 10 gallon batch, it would definately be worth having it instead of having to buy another one. It took about 5 minutes to bring my 5 gallon boil down to 80 degs, it also helps stirring your wort while you are running the chiller.
Here's a bunch of them to choose from:
http://morebeer.com/browse.html?category_id=1073&keyword=&x=1&y=1
Your beer is most vulnerable to infection during that intermediate temperature, its well worth having the peice of mind to quickly bring the tempurature down... that and I'm sure it helps develop the cold break better.